Category: quant finance coding course

Here we will present simple python code of delta hedging example of a call option. it’s a minimal example with zero interest rates , no dividends. On day 1 we sell 10 near ATM call options and start delta hedging…

In pricing models (black-scholes, local vol, libor market model) the source of uncertainty is Brownian motion. how to simulate it in python? python download first, lets simulate dWt , we know it’s a gaussian variable with mean 0 and deviation…

Part 5 c++ finance course Monte-Carlo c++ – basket options Objective – price basket options based on this you’ll be able to price Autocallable, Himalaya, Spread and similar basket options Basket option Here let’s see how to price an option…